A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Continuous-time model shows insider trading constraints impact market dynamics.
This paper establishes the existence of a unique nonnegative continuous viscosity solution to the HJB equation associated with a Markovian linear-quadratic control problems with singular terminal state constraint and possibly unbounded cost coefficients. The existence result is based on a novel comparison principle for…
To improve the efficient frontier of the classical mean-variance model in continuous time, we propose a varying terminal time mean-variance model with a constraint on the mean value of the portfolio asset, which moves with the varying terminal time. Using the embedding technique from stochastic optimal control in conti…
The paper optimizes insurance dividend payments and reinsurance strategies under specific distribution constraints.
We provide a probabilistic solution of a not necessarily Markovian control problem with a state constraint by means of a Backward Stochastic Differential Equation (BSDE). The novelty of our solution approach is that the BSDE possesses a singular terminal condition. We prove that a solution of the BSDE exists, thus part…
ETCNN uses neural networks to price American options accurately.
Social Security and other public policies can be viewed as a series of cash in and outflows that depend on parameters such as the age distribution of the population and the retirement age. Given forecasts of these parameters, policies can be designed to be financially stable, i.e., to terminate with a zero balance. If …
This paper works out fair values of stock loan model with automatic termination clause, cap and margin. This stock loan is treated as a generalized perpetual American option with possibly negative interest rate and some constraints. Since it helps a bank to control the risk, the banks charge less service fees compared …
Study a continuous portfolio optimization with a new CVaR-like constraint using martingale approach.
Develops a framework for optimal investment in assets with different liquidity constraints.
In the paper, a mean-square minimization problem under terminal wealth constraint with partial observations is studied. The problem is naturally connected to the mean-variance hedging problem under incomplete information. A new approach to solving this problem is proposed. The paper provides a solution when the underly…
We analyze linear McKean-Vlasov forward-backward SDEs arising in leader-follower games with mean-field type control and terminal state constraints on the state process. We establish an existence and uniqueness of solutions result for such systems in time-weighted spaces as well as a {convergence} result of the solution…
Continuous-time mean-variance portfolio selection model with nonlinear wealth equations and bankruptcy prohibition is investigated by the dual method. A necessary and sufficient condition which the optimal terminal wealth satisfies is obtained through a terminal perturbation technique. It is also shown that the optimal…
Study shows equivalence of four risk constraints in non-concave optimization problems.
We study the existence of a minimal supersolution for backward stochastic differential equations when the terminal data can take the value + with positive probability. We deal with equations on a general filtered probability space and with generators satisfying a general monotonicity assumption. With this minim…
Paper optimizes DC pension fund management with VaR and relative performance constraints.
The paper solves portfolio optimization problems with risk constraints.
We study power utility maximization for exponential Lévy models with portfolio constraints, where utility is obtained from consumption and/or terminal wealth. For convex constraints, an explicit solution in terms of the Lévy triplet is constructed under minimal assumptions by solving the Bellman equation. We use a nove…
We study a robust maximization problem from terminal wealth and consumption under a convex constraints on the portfolio. We state the existence and the uniqueness of the consumption-investment strategy by studying the associated quadratic backward stochastic differential equation (BSDE in short). We characterize the op…
New framework finds periodic policies in reset-free MDPs with sublinear regret.
This paper focuses on martingale optimal transport problems when the martingales are assumed to have bounded quadratic variation. First, we give a result that characterizes the existence of a probability measure satisfying some convex transport constraints in addition to having given initial and terminal marginals. Sev…
We derive a closed form solution for an optimal control problem related to an interbank lending schemes subject to terminal probability constraints on the failure of banks which are interconnected through a financial network. The derived solution applies to a real banks network by obtaining a general solution when the …
We solve a class of control problems with fuel constraint by means of the log-Laplace transforms of -functionals of Dawson-Watanabe superprocesses. This solution is related to the superprocess solution of quasilinear parabolic PDEs with singular terminal condition. For the probabilistic verification proof, we develo…
This paper deals with the super-replication of non path-dependent European claims under additional convex constraints on the number of shares held in the portfolio. The corresponding super-replication price of a given claim has been widely studied in the literature and its terminal value, which dominates the claim of i…
New method for computing terminal embeddings in sublinear time.
This paper optimizes insurance reinsurance design under solvency constraints.
Dynamic reinsurance aims to minimize surplus risk using martingale transport.
A framework for eliciting utility functions from investor preferences.
We consider risk-averse agents who compete for liquidity in an Almgren--Chriss market impact model. Mathematically, this situation can be described by a Nash equilibrium for a certain linear-quadratic differential game with state constraints. The state constraints enter the problem as terminal boundary conditions f…
Framework learns stochastic dynamics from endpoint and intermediate distributions using soft energy constraints.
We treat utility maximization from terminal wealth for an agent with utility function who dynamically invests in a continuous-time financial market and receives a possibly unbounded random endowment. We prove the existence of an optimal investment without introducing the associated dual prob…
New approach to control diffusion processes with soft constraints.
Generative AI connects to Schrödinger bridge problems with soft constraints for stability.
Proposes a reverse stress testing framework for dynamic models.
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is to derive the optimal insurance strategy which allows "lowering" the level of the…
Optimizes multi-period portfolios with tail-risk constraints using neural networks.
Optimal dividend strategy with irreversible reinsurance constraints.
For an exponential utility maximizing investment strategy in a Black-Scholes Setting, fixed upper and lower constraints are introduced on the terminal wealth. This is equivalent to combining the optimal strategy with options. The resulting distribution is investigated in terms of change of quantiles. The theory is illu…
The paper optimizes investment strategies with constraints for life-cycle models.
Dynamic risk constraints help limit risky behavior in financial portfolios.
Investment strategy for DC pension plan with inflation risk and tail VaR constraint.
We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk measure. For continuous- and discrete-time financial markets we investigate the loss i…
Paper solves investment and consumption problem with unknown risk, providing explicit solutions.
We study super--replication of contingent claims in markets with fixed transaction costs. This can be viewed as a stochastic impulse control problem with a terminal state constraint. The first result in this paper reveals that in reasonable continuous time financial market models the super--replication price is prohibi…
We maximize the expected utility of terminal wealth in an incomplete market where there are cone constraints on the investor's portfolio process and the utility function is not assumed to be strictly concave or differentiable. We establish the existence of the optimal solutions to the primal and dual problems and their…
Agent maximizes utility with pathwise constraint on portfolio value.
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms. In particular, we show that this problem can be converted to a finite sequence of state-constrained optimal control problems with additional…
We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case of contracts with penalties is straightforward, and in that case only a terminal condition is needed. Conversely, the case of contracts with …